Topic
Spot contract
About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.
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TL;DR: This article showed that natural gas futures are biased predictors of the corresponding future spot prices for contracts ranging from 3 to 12 months, and that this bias is due to the systematic risk of the futures price movements represented by a negative "beta".
Abstract: This paper tests the fair-game efficient-markets hypothesis for the natural gas futures prices over the period 1990 through 2003. We find evidence consistent with the Keynesian notion of normal backwardation. Regressing the future spot prices on the lagged futures prices and using the Stock-Watson (1993) procedure to correct for the correlation between the error terms and the futures prices, we find that natural gas futures are biased predictors of the corresponding future spot prices for contracts ranging from 3 to 12 months. These results cast a serious doubt on the commonly held view that natural gas futures sell at a premium over the expected future spot prices, and that this bias is due to the systematic risk of the futures price movements represented by a negative “beta.” We also find evidence for the Samuelson effect. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:281–308, 2005
39 citations
Journal Article•
TL;DR: In this paper, the lead-lag relationship between futures and spot markets in Greece was examined for both available stock index futures contracts of the Athens Derivatives Exchange (ADEX) and they employed a Bivariate GARCH model to explain price discovery of futures market over the crisis period 1999 to 2001.
Abstract: This paper examines the lead-lag relationship between futures and spot markets in Greece For both available stock index futures contracts (FTSE/ASE-20 and FTSE/ASE Mid 40) of the Athens Derivatives Exchange (ADEX), we employ a Bivariate GARCH model to explain price discovery of futures market over the crisis period 1999 to 2001 Empirical results confirm that futures market plays a price discovery role, implying that futures prices contain useful information about spot prices (in line with similar findings in the literature) These findings are helpful to financial managers and traders dealing with Greek stock index futures
39 citations
TL;DR: In this article, the authors investigate whether coffee producers can benefit by taking coffee production/marketing decisions on the basis of coffee futures forecasts and show that changes in spot prices are not explained by changes in lagged futures prices.
Abstract: The paper investigates whether coffee producers can benefit by taking coffee production/marketing decisions on the basis of coffee futures forecasts. The methodology employed is to match futures and spot prices for the coffee futures contract traded at the international commodity exchanges. Regression analysis demonstrates that changes in spot prices are not explained by changes in lagged futures prices. On the contrary, it emerges that futures prices tend to adapt to the prevailing spot prices. The deviations of the spot prices from the lagged futures prices are over 30 per cent on average and they do not follow any systematic pattern. Therefore, the hypothesis that coffee futures market information could benefit coffee producers cannot be empirically supported.
39 citations
TL;DR: In this paper, the authors used cointegration testing and common-feature testing to investigate market efficiency among daily spot and forward exchange rates of the G-7 countries and found that market efficiency within countries is supported by the finding of co-movement between the forward rate and the corresponding spot rate.
39 citations
26 Aug 2013
TL;DR: In this article, the authors study various checkpointing schemes to increase the reliability over spot instances and devise a novel checkpointing scheme on top of application-centric resource provisioning framework that increases the reliability while reducing the cost significantly.
Abstract: In late 2009, Amazon introduced spot instances to offer their unused resources at lower cost with reduced reliability. Amazon's spot instances allow customers to bid on unused Amazon EC2 capacity and run those instances for as long as their bid exceeds the current spot price. The spot price changes periodically based on supply and demand of spot instances, and customers whose bid exceeds it gain access to the available spot instances. Customers may expect their services at lower cost with spot instances compared to on-demand or reserved. However the reliability is compromised since the instances (IaaS) providing the service (SaaS) may become unavailable at any time without any notice to the customer. In this paper, we study various checkpointing schemes to increase the reliability over spot instances. Also we devise a novel checkpointing scheme on top of application-centric resource provisioning framework that increases the reliability while reducing the cost significantly.
39 citations